If I’m pregnant will I have to go to annual training?

Maybe. Pregnancy is not a free pass. Should be a discussion with your command team. May also be dependent on how far along you are and what the AT plan is. If it is home station working on a computer, you probably won't be excused. Some commands will authorize a home station AT in leu of field environment.

I’d address this concern with your team leader and see what they have to say

If it's an armory drill you'll be expected to show up. If it's the field they'll likely keep you back at the armory as a form of rear detachment or limit physical activity in the field. That's what I've seen thus far in my experience. Another issue that you need to be considering is if you'll be staying in or not. This is a conversation you need to have with your chain.